GTA 4 meets Vice City and the Underworld.
and "The Lost and Damned" Both of which are available on XBL Marketplace and PSN Network separatly.
Both titles do have tie-ins with the main game and with each other i might add, be it with cross-over missions mainly.
I shall begin with "The Lost and Damned"
The first of the two add-ons, you take the role of a biker known as Johnny Klebitz, a second in-command leader of a gang called "The Lost". The game takes a more darker turn that the main title, and does contain a few cross-over missions. It is interesting seeing how an event unfolds from a different side of things.
Not only do you get 20 or so extra missions, but you do unlock more radio tracks which can be heard in Niko's and Johnny's game(s), more multi-player modes (Chopper vs Chopper is one of the better ones), weapons, activities and more extensive news which updates you on the after-math of your actions.
It is immersive, same as GTA IV is/was. You can use the whole map, but the missions are mainly based on the 2nd and 3rd islands with the occasional trip to the first.
Worth playing, just to see another side of Liberty City.
Next, is Ballad of Gay Tony
The second of the two expansions, with you playing as Luiz Lopez. Unlike "Lost and Damned" which takes place near the beginning of Niko's story, Ballad of Gay Tony takes place around the bank robbery.
And unlike "Lost", BOGT shows a more glitzy, show-biz side of Liberty City. Where you are one of the top honcho's of a top night-club, and a top dude in the gay night-club that Tony owns as well. There are several more cross-over missions, mainly based in the latter half of Niko's story and towards the end of Johnny's story (you meet both within the game).
BOGT adds something that i'm sure most of you missed with GTA 4, that is base jumping. Basically jump from a height and land on a target. Or parachute onto anything you wish at any-time. New weapons, actvities (inc golf), a new comedy act and even more multi-player modes makes this a purchase and worth the points.
Out of both titles, Ballad is the better one. I can't pin-point it exactly, but it is better. Probably because it is similar to Vice City, just set 20 or so years later.